The impact of COVID-19 induced panic on the return and volatility of precious metals

被引：43

作者：

Umar, Zaghum ^{[1
]}

Aziz, Saqib ^{[2
]}

Tawil, Dima ^{[2
]}

机构：

[1] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates

[2] Rennes Sch Business, 2 Rue Robert Arbrissel, F-35065 Rennes, France

来源：

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE | 2021年 / 31卷

关键词：

COVID-19; Global panic index; Precious metals; TVP-VAR method; IMPULSE-RESPONSE ANALYSIS; DYNAMIC CONNECTEDNESS; SAFE HAVEN; GOLD; MARKETS; TRANSMISSION; HEDGE;

D O I：

10.1016/j.jbef.2021.100525

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use TVP-VAR approach to analyze the connectedness between the COVID-19 induced global panic index (GPI) and precious metals return and volatility. We find evidence of positive connectedness between the GPI and precious metals with GPI being a shock transmitter and precious metals, especially gold, being net receivers. While silver shows the highest resistance to shocks, platinum and palladium present a time varying transmission pattern. Our results refute the safe-haven property of precious metals during the COVID-19 outbreak, with the exception of silver. (c) 2021 Elsevier B.V. All rights reserved.

引用

页数：5

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